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Reducing Bias of MLE in a Dynamic Panel Model

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  • Jinyong Hahn
  • Hyungsik Roger Moon

Abstract

This paper investigates a simple dynamic linear panel regression model with both fixed effects and time effects. Using “large n and large T”asymptotics, we approximate the distribution of the fixed effect estimator of the autoregressive parameter in the dynamic linear panel model and derive its asymptotic bias. We find that the same higher order bias correction approach proposed by Hahn and Kuersteiner (2002) can be applied to the dynamic linear panel model even when time specific effects are present.

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File URL: http://www.usc.edu/dept/LAS/economics/IEPR/Working%20Papers/IEPR_05.36_%5BHahn,Moon%5D.pdf
File Function: First version, 2005
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Bibliographic Info

Paper provided by Institute of Economic Policy Research (IEPR) in its series IEPR Working Papers with number 05.36.

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Length: 15 pages
Date of creation: Sep 2005
Date of revision:
Handle: RePEc:scp:wpaper:05-36

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Cited by:
  1. Chambers, Marcus J., 2013. "Jackknife estimation of stationary autoregressive models," Journal of Econometrics, Elsevier, vol. 172(1), pages 142-157.

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